Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Jan 05 (3D) | Jan 06 (4D) | Jan 07 (5D) | Jan 08 (6D) | Jan 09 (7D) | Jan 12 (10D) | Jan 13 (11D) | Jan 14 (12D) | Jan 15 (13D) | Jan 16 (14D) | Jan 23 (21D) | Jan 30 (28D) | Feb 06 (35D) | Feb 13 (42D) | Feb 20 (49D) | Feb 27 (56D) | Mar 06 (63D) | Mar 13 (70D) | Mar 20 (77D) | Mar 27 (84D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 674.624 | 673.223 | 671.989 | 670.873 | 669.847 | 667.147 | 666.34 | 665.569 | 664.829 | 664.118 | 659.721 | 656.015 | 652.749 | 649.797 | 647.082 | 644.555 | 642.182 | 639.937 | 637.802 | 635.762 |
| upper | 692.736 | 694.137 | 695.371 | 696.487 | 697.513 | 700.213 | 701.02 | 701.791 | 702.531 | 703.242 | 707.639 | 711.345 | 714.611 | 717.563 | 720.278 | 722.805 | 725.178 | 727.423 | 729.558 | 731.598 |
| expected move | 9.056 | 10.457 | 11.691 | 12.807 | 13.833 | 16.533 | 17.34 | 18.111 | 18.851 | 19.562 | 23.959 | 27.665 | 30.931 | 33.883 | 36.598 | 39.125 | 41.498 | 43.743 | 45.878 | 47.918 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
